Plastron Precision Spline ILLIQ Liquidity Analysis
Liquidity prediction for Monday, July 20th, 2026
1 Day
4,994.58
increased by 1,548.31
1 Week
3,598.24
increased by 151.97
1 Month
2,964.46
decreased by 481.81
Analysis last updated: Sunday, July 19, 2026 at 05:04 AM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Oct 16, 2003 to Jul 17, 2026Model Insight
With persistence 0.997, illiquidity shocks have a half-life of 234 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1367 | 6.27*** |
α ARCH Response to squared shocks | 0.2024 | 9.45*** |
β GARCH Volatility persistence | 0.7947 | 38.48*** |
Spline Coefficients
K=10
| γ1 | -5.3628 | -1.86* |
| γ2 | 10.8597 | 1.75* |
| γ3 | -6.7221 | -1.50 |
| γ4 | -0.0018 | 0.00 |
| γ5 | 1.6791 | 2.76*** |
| γ6 | -0.4622 | -1.41 |
| γ7 | -0.0481 | -0.14 |
| γ8 | -0.0034 | -0.01 |
| γ9 | 0.3465 | 1.29 |
| γ10 | -0.6553 | -1.58 |
Persistence:
0.997
Half-life:
234 days
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